Database | Table | Requirements for Multi-currency Conversion |
|---|---|---|
RULES | ENTITY | Store Base Currency with the Entity on the ENTITY table in the BASE_CURRENCY field for both Composite and Constituent entities. |
RULES | ENTITY_HISTORY | Store Base Currency with the Entity on the ENTITY_HISTORY table in the BASE_CURRENCY field for both Composite and Constituent entities. |
SECURITY | FX_RATES | Store supporting FX Spot Rate data in the FX_RATES table. These rates can be loaded into PACE via a regularly scheduled default FX Rate stream. The previous figure shows a sample record. All cross-rates should be loaded via the scheduled stream because these rates are not calculated during the conversion process. However, you can enable Triangulation in order to convert the British Pound to Euro FX spot rate if you only have the Pound to US dollar rate and Euro to US dollar rate. |
SECURITY | SECURITY_MASTER | Store Security Master records for all Base Currencies being supported with the primary asset ID as CASH + ISO code, such as CASHGBP. Store appropriate date values in the CURRENCY_START_DATE and CURRENCY_END_DATE fields for all Legacy currencies and the Euro. |
PERFORM | Store Performance data in each constituents' base currency value for constituent entities on the PERFORM database. |
An example of FX Spot Rate data stored in the SECURITYDBO.FX_RATES follows in the following figure.
Related Setup Tasks
Other setup tasks follow:
- Currency Codes with the ISO code as the Short Description must be available in Codes and Code Values.
- Appropriate Sources for FX Rate Data set up and configured in the source rules that the reports use.
- Performance metadata configured with the appropriate Currency Process defined. For more information, see Assign the Currency Process for Field Attributes Requiring Conversion.
- The currency conversion process can use the Performance Date Rule and Source Rule defined for the composite entity in its calculation.
Set Up PACE System Parameters for Currency Conversion
This section describes the PACE system parameters that support multicurrency conversion for GIPS Composite Management. These parameters can also affect currency conversion in other types of PACE reports.
To change system settings related to currency conversion:
- From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
- Enter System Management Center in the Start Search text box and click the System Management Center link.
You see the System Management Center opens with the Service workspace. - From the left navigation, select System Settings > System Parameters.
You see the PACE system parameters workspace with all the available settings configured for the current environment. - For each system setting related to currency conversion processing that you want to edit, select the item, right-click and select Edit. Select a different value, and click Save.
The new value appears in the corresponding Sys Value cell. The following table describes each setting related to currency conversion.
Sys Item | Name | Description |
|---|---|---|
40 | FX rates quotation method | Determines if the FX rate is a multiplier or divisor. Used for cross currency calculations to indicate whether the FX_RATES table contains either multiply by or divide by rates. If set to:
|
112 | Number of days to go back to look for FX rates | Determines how many days to look back for FX rates. The default value is 0. |
135 | FX Cross Rate Currency - ISO code of the Currency used for cross rates | If you enable cross currency calculation, identifies the ISO code of the reference currency you use to store FX rates. Most Eagle US clients store FX rates in USD. For example, if you store FX rates in EUR, identify EUR as the reference currency. The default value is USD. |
137 | Cross Currency Calculation | Determines whether to enable cross currency calculation. If set to:
|
The following table describes the FX Rate Quotation Method setting.
Quotation Method | From Currency | To Currency | Spot Rate |
|---|---|---|---|
Direct | USD | GBP | 0.6329 |
Indirect | USD | GBP | 1.5800 |
Set Up Performance System Parameters for Currency Conversion
This section describes the Performance system parameters that support multicurrency conversion for GIPS Composite Management.
To change system settings related to currency conversion:
- From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
- Enter Performance Center in the Start Search text box and click the Performance Center link to access the Performance Center.
You see the Performance Center workspace. - From the left navigation, click Setup > System Settings.
You see the System Settings workspace with all the available settings for the performance system parameters. - For each system setting related to currency conversion processing that you want to edit, select the checkbox to the left of the Sys Item, click the Edit link and select a different value, and click Save.
The new value appears in the corresponding Sys Value cell. The following table describes each setting related to currency conversion.
Sys Item | Name | Description |
|---|---|---|
27 | Multicurrency Composite Build Processing | Determines if the Performance Composite Builder initiates on-the-fly currency conversion. Applies only when the portfolio inclusion criteria use Performance or Holdings fields, and the composite and constituent portfolios do not share a common base currency. If set to:
|
32 | Use the FX spot rate as of inception date for monthly frequency ITD currency conversions | Determines how the system performs currency conversion for fields with inception to date (ITD) Date Rules for the fund's first month since inception, as follows:
|
| Anchor | ||||
|---|---|---|---|---|
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You must configure the Currency Process field for field attributes that require currency conversion on a report or during the Performance Composite Build process.
For the system to properly convert the data, it needs to know what kind of conversion methodology to employ. For example, the algorithm for converting returns over time is greatly different from that of converting a static data point such as beginning or ending market value.
It is required to set the currency process for the field attributes that are to be converted on a report. Only the field attributes that pull data directly from the database need to be set. For example, you can build a rollup field (a field attribute gets created for this field), but the rollup field uses an underlying database field attribute. If you want to convert the rollup field on a report, then only the database field attribute needs a currency process.
A list of currency processes follows.
Begin Value
Uses the FX rate as-of the begin date of the report or period to convert the value.
For example:
Report – Composite Weighted Returns, Effective Date Between 11/30/2018 and 12/31/2018, Field - Begin Market Value.
During the conversion process the report converts the Begin Market Value of the constituent using the spot rate on 11/30/2018; Begin Market Value * FX Spot 11/30/2018. See the following figure.
End Value
Uses the FX rate as-of the end date of the report to convert the value. Using the previous example:
End Market Value * FX Spot 12/31/2018.
Begin Value Fixed
The Begin Value Fixed is the begin value in previous example, but if the To currency started after the begin date (such as, begin date of 11/30/2018 and the Euro start date of 1/1/2019), then the spot rate on the start of the currency is used. The To currency in this case is always the Composite's base currency.
End Value Fixed
Similar to the end value in previous example, but if the To currency ended after the effective date of the report, then the spot rate at the end of the currency is used.
Return Value
Only applicable for returns stored in the system. To convert a return, the system calculates the currency return for the same period and geometrically links the returns. For example:
(Return+1)*(Spotfinal/Spotinitial)-1.
See the following figure for a return value example.